Compara mètodes

	Model GARCH de Fourier	Model ARCH (Autoregressive Conditional Heteroskedasticity)
Camp	Econometria	Econometria
Família	Regression model	Regression model
Any d'origen	2000–2012	1982
Autor original	Ludlow & Enders (2000); extended by Enders & Lee (2012) Fourier framework	Robert F. Engle
Tipus	Volatility model	Conditional volatility model
Font seminal	Ludlow, J., & Enders, W. (2000). Estimating non-linear ARMA models using Fourier coefficients. International Journal of Forecasting, 16(3), 333–347.	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.
Àlies	Fourier GARCH, Fourier-flexible GARCH, GARCH with Fourier terms, smooth-break GARCH	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model
Relacionats	5	6
Resum	The Fourier GARCH model embeds trigonometric Fourier terms into a standard GARCH framework to capture smooth, gradual shifts in the conditional variance process without requiring knowledge of exact structural break dates. By approximating unknown break patterns with sinusoidal functions, it jointly models volatility clustering and time-varying unconditional variance.	The ARCH model, introduced by Robert Engle in 1982, captures time-varying volatility in financial and macroeconomic time series. It models the conditional variance of today's error as a function of past squared errors, explaining why volatile periods cluster together — a phenomenon known as volatility clustering.